This course develops the theory and quantitative practice of financial decision-making. It covers return measurement, risk and expected utility, portfolio choice, asset pricing, fixed income, derivatives, corporate finance, market efficiency, banking, risk management, behavioral finance, and empirical financial econometrics.
What you will learn
- Calculate returns and characterize risk under alternative probability distributions.
- Derive mean-variance portfolios and asset-pricing relations.
- Apply no-arbitrage methods to bonds, forwards, and options.
- Evaluate capital budgeting, capital structure, and payout decisions.
- Analyze financial intermediation and systemic risk.
- Estimate and evaluate empirical financial models with reproducible workflows.
How the course is organized
Each lecture session has a full set of written notes: learning objectives, formal development with derivations, worked examples, a problem set, a computational lab and readings. Problem sets with solution guidance and examination specifications are under Assignments and Exams.
Part I · Risk, return and asset pricing Lectures 1–5
Part II · Fixed income and derivatives Lectures 6–8
Part III · Corporate finance and markets Lectures 9–11
Part IV · Banking and risk Lectures 12–13
Part V · Behavioral and empirical finance Lectures 14–15
Assessment
Problem sets 25%; portfolio and risk assignment 20%; corporate finance case 15%; empirical finance project 20%; final examination 20%.
Core references
- Bodie, Kane and Marcus, Investments.
- Berk and DeMarzo, Corporate Finance.
- Cochrane, Asset Pricing.
- Hull, Options, Futures, and Other Derivatives.
- Campbell, Lo and MacKinlay, The Econometrics of Financial Markets.
- Tuckman and Serrat, Fixed Income Securities.
- McNeil, Frey and Embrechts, Quantitative Risk Management.